Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -7.65 -8.77 -11.84
Market Cap (Millions USD) 874.67 859.18 1031.77
Predicted Beta 0.14 0.13 0.16
Idiosyncratic Volatility 1.95 1.61 2.77

Annualized return and volatility

EWP
Annualized Return 0.0370
Annualized Std Dev 0.2726
Annualized Sharpe (Rf=0%) 0.1356

Row

Daily Return Statistics

EWP
Observations 5112.0000
NAs 2.0000
Minimum -0.1629
Quartile 1 -0.0076
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0089
Maximum 0.1455
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0172
Skewness -0.1191
Kurtosis 7.3700

Downside Risk

EWP
Semi Deviation 0.0124
Gain Deviation 0.0121
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0122
Downside Deviation (0%) 0.0122
Maximum Drawdown 0.6119
Historical VaR (95%) -0.0273
Historical ES (95%) -0.0411
Modified VaR (95%) -0.0260
Modified ES (95%) -0.0425
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 NA -0.6119 3084 320 NA
2000-03-17 2002-09-24 2003-12-18 -0.4524 962 643 319
2004-02-18 2004-05-17 2004-10-21 -0.1347 174 64 110
2006-05-11 2006-06-13 2006-08-15 -0.1289 68 23 45
2000-01-04 2000-01-31 2000-03-01 -0.0998 40 19 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWP
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.7 1.5 0.0 0.9 1.2 0.0 -1.0 3.6 0.0 0.0 2.1 0.0 9.4
2001 2.6 0.6 0.0 1.6 -1.3 0.0 1.9 0.0 -2.5 0.8 0.0 0.0 3.6
2002 1.5 1.2 0.7 1.5 0.0 -0.8 -3.5 0.0 -1.1 2.6 0.0 0.0 1.9
2003 0.0 0.0 2.3 0.1 0.0 0.6 -0.2 0.0 2.9 0.0 1.8 0.0 7.7
2004 0.0 0.8 0.9 0.0 -1.4 -0.6 0.0 0.3 1.9 0.4 0.6 0.0 2.9
2005 0.7 0.8 -0.6 0.0 -0.1 -0.5 0.5 2.1 0.0 -0.8 1.2 0.0 3.1
2006 0.3 1.5 0.0 -0.7 0.6 0.0 0.0 0.7 0.0 -0.4 -1.0 0.0 0.9
2007 -0.2 -1.5 0.0 -0.2 0.9 0.0 1.4 0.0 0.8 -1.8 0.0 0.0 -0.6
2008 1.6 0.0 2.7 1.4 0.0 -0.7 -2.3 0.0 1.1 0.0 -7.1 0.0 -3.5
2009 0.0 0.0 2.4 0.7 1.2 1.0 0.0 -3.2 -3.1 0.0 2.0 0.0 0.7
2010 2.0 0.1 2.4 0.0 -3.3 4.7 0.0 4.3 0.5 -2.8 6.0 0.0 14.4
2011 2.4 -1.9 1.1 0.0 -3.0 1.7 -2.9 -2.3 0.0 -5.2 -0.9 0.0 -10.6
2012 2.1 1.0 0.0 0.5 -0.6 0.0 -0.1 0.0 0.2 1.1 0.0 0.0 4.2
2013 -0.2 -0.1 -1.3 -0.8 0.0 2.0 1.2 0.0 1.6 -0.7 0.0 0.0 1.7
2014 0.0 0.0 1.6 0.2 0.0 0.6 -1.1 0.0 -0.7 0.0 -0.6 0.0 -0.1
2015 0.0 0.0 1.3 1.0 -0.3 -0.1 0.0 -2.9 0.8 0.0 1.3 0.0 1.1
2016 -0.1 3.0 -0.6 0.0 -0.6 0.0 -1.6 1.2 0.0 -0.5 0.3 0.0 1.0
2017 -0.5 2.0 0.0 0.4 0.2 0.0 0.6 0.1 0.0 -0.1 -0.8 0.0 2.0
2018 0.5 -1.0 0.0 -0.7 1.2 0.0 -0.9 0.0 0.0 1.8 0.0 0.0 0.9
2019 -1.0 0.1 1.6 -0.8 0.0 0.4 -0.5 0.0 -0.7 0.7 0.0 -0.2 -0.4

Row

Rolling Performance Chart

Snail Trail Chart